Departement Statistiek en Aktuariële Wetenskap Department of Statistics and Actuarial Science Nuusbrief / Newsletter May / June 2017 Department of Statistics and Actuarial Science celebrates 70th birthday Schroders Conference Staff Matters Graduation 2016 Prize Winners Bursaries and Grants Other News Operational Risk Research article Academic articles published or presented in 2016 Inthisissue
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Department of Statistics and Actuarial Science Nuusbrief ......Wynand graduated with a BCom Honours degree in Mathematical Statistics from Stellenbosch in 1993 and qualified as a Fellow
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Departement Statistiek en Aktuariële Wetenskap
Department of Statistics and Actuarial Science
Nuusbrief / Newsletter
May / June 2017
Department of Statistics and Actuarial Science celebrates 70th birthday Schroders Conference
Staff Matters
Graduation
2016 Prize Winners
Bursaries and Grants
Other News
Operational Risk Research article Academic articles published or presented in 2016
In�this�issue
2
The Department of Statistics and Actuarial Science
celebrated i ts 70th anniversary on Saturday,
26 November 2016 with a seminar and special lunch.
The seminar covered technical and popular topics
presented by young, well-known alumni of the
Department as well as international academics with a
South African connection. About 100 alumni, staff,
colleagues from universities in South Africa and abroad,
donors and friends of the Department attended the
festivities.
The Department was privileged to host all of its active
emeritus professors (Professors Anton Schoeman,
Bouwer Bouwer, Caspar Greeff, Mark Classen, Niël le
Roux and Tertius de Wet) as well as Professors Nico
Laubscher and Daan Nel, past directors of the Statistical
Consultation Centre. We are grateful that Stephan and
Carl Pretorius, the sons of Prof Faantjie Pretorius who
was the first professor in Statistics at Stellenbosch
University and the founder of the Department in 1946,
were able to join us.
Prof Stan du Plessis (former Dean of the Faculty of
Economic and Management Sciences and alumnus of
the Department) opened the occasion by welcoming the
guests. Prof Willie Conradie then gave a brief overview
of the history of the Department. This introduction was
followed by three presentations by alumni of the
Department. Dr Wiesner Vos, Quant Manager and
Statistician in Advanced Measurement Technologies at
Google in London, gave an “Overview of statistical
analysis and computing at Google”; Mr Dirk Jooste,
Proprietary Credit Trader at Investec Bank, discussed
“The untimely value of money”; and Mr Wynand Louw,
Chief Actuary of Old Mutual, spoke about “How to
count in the future…and make a difference”.
In the second part of the programme, Emeritus Professor
Niël le Roux gave a talk entitled “Living in a 3D
environment with multidimensional challenges:
Visualising multivariate data”.
The programme was concluded with a panel discussion
led by Prof Tertius de Wet entitled “Statistics: The road
ahead?” Prof Michael Greenacre of Universitat Pompeu
Fabra, Barcelona, and Prof Trevor Hastie of Stanford
University in the USA gave fascinating insights into the
Dr David Hofmeyr, who completed his PhD at Lancaster
University and graduated in 2016, joins the Department as
a senior lecturer in Statistics.
What would you like to offer students? I believe that
for many people, myself included, their understanding
of statistics and probability can be traced back to a few
moments of comprehension; be they from an expert
explanation from a teacher, or from personal
epiphany. What I really hope to be able to offer
students is a learning environment that promotes these
moments; either by engaging students in the material
to the extent that they have their own moments of
realisation or by sharing with them my own
experiences and understanding.
Please name some of your career highlights: I was
awarded the First Rand/Laurie Dippenaar scholarship
for international postgraduate study in 2010, which
took me to the University of Edinburgh to study for an
MSc in Operations Research. After that I received a
studentship (PhD scholarship) from Lancaster
University to study for a second masters, and
subsequently a PhD, within the STOR-i Centre for
Doctoral Training. I received the Kingsman Prize in
2016, which is awarded to the top doctoral researcher
in the Department of Management Science at
Lancaster University. In the final year before joining
Stellenbosch I held a postdoctoral research fellowship
within the STOR-i Centre for Doctoral Training.
What skills taught in Mathematical Statistics do you
think is particularly valuable in the “real world”?
Technological advancements have made the
collection and storage of large amounts of data almost
trivial. As a result, in almost all fields, decision-making
is increasingly based on the results of robust analyses
of these data. Statistics forms the basis for extracting
useful and relevant information from data, and so it is
no surprise that statistics is being heralded as one of
the most important and saleable skills currently.
How do you plan to assist students to acquire these
skills? A skilled statistician must be well versed both in
the mathematical modelling of real world situations
within a statistical framework, and, perhaps more
importantly, the interpretation of the results obtained.
I hope to be able to offer students both of these skills
and stress the importance of utilising them in tandem.
Why would you encourage prospective students to
come to Stellenbosch University? The Department of
Statistics and Actuarial Science at Stellenbosch
University offers an extremely diverse set of skills to
prospective students. The staff and researchers have
exemplary skills in classical and modern statistics;
both in the applied and methodological sides of the
discipline.
What do you think are the important characteristics
that a (prospective) Mathematical Statistics student
should possess if s/he wants to pursue a career in
Mathematical Statistics? A sound mathematical
understanding is essential for the study and
implementation of statistical methods, and is a
prerequisite for any prospective student. On top of
that, an ability to translate real world situations into a
mathematical framework, and vice versa, is vital.
What do you enjoy most about Mathematical
Statistics? My passion is in mathematics, and what I
love about statistics is being able to not only engage
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with this passion, but also have it be made relevant to
real world problems by the importance statistics has in
decision-making.
What are the opportunities in Mathematical
Statistics? Data is everywhere, quite literally. The
opportunities available to those who are data literate
are too numerous to list. Almost every company and
organisation nowadays makes use of the analysis of
data in their decision and policy-making. People have
realised that if the vast amounts of information which
can be extracted from data are ignored, it is extremely
difficult to remain competitive, or even relevant.
In your opinion, what should the Department of
Statistics and Actuarial Science look at to make sure
they're keeping up with industry, if anything? I think
the most important thing is to establish and maintain a
dialogue between academics and industry, so that they
remain on the same page. Many industrial
organisations are lagging in the methods they are using
as they are not staying up to date with the state of the
art. At the same time, however, unless academics are
aware of the problems organisations are facing in the
now, there is a risk that the research focus is not
appropriately directed at the most relevant issues.
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Prof Sugnet Lubbe completed both her undergraduate and
postgraduate degrees at Stellenbosch University, obtaining
her PhD in 2001. She joins the Department as Professor in
Statistics.
What would you like to offer students? Insight into
the exciting world of applying mathematics to tell the
story of the data.
Please name some of your career highlights: I spent
13 years in industry as researcher statistician / senior
statistician before moving to academia where I was
associate professor at UCT from July 2009 to
December 2016.
What skills taught in Statistics do you think is
particularly valuable in the “real world”? How to
think analytically about problem-solving.
How do you plan to assist students to acquire these
skills? At different levels students are presented with
different problems to solve – in second year,
mastering the concepts of estimation and hypothesis
testing, at masters and PhD level, tackling a
multivariate research problem.
Why would you encourage prospective students to
come to Stellenbosch University? It is not only an
academically outstanding university but also a
university with a unique culture.
What do you enjoy most about Statistics? “Getting
to play in everyone else's backyard” (John Tukey). I
can use my skills and knowledge to apply statistics
to many other interesting fields ranging from
health science, sport and finance to antique
furniture.
What are the opportunities in Statistics? As one of
the most sought after jobs internationally, the
opportunities for data scientists are growing by the
day.
In your opinion, what should the Department of
Statistics and Actuarial Science look at to make sure
they're keeping up with industry, if anything? We are
in the process of looking into a specialised data
science offering at undergraduate level and also to
expand our postgraduate offerings in big data and
data science.
Why did you choose to work at Stellenbosch
University? It is a university with a very good
reputation locally and internationally and we are not
stagnating but keeping up with new developments
and changes over time.
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Ms Robyn Williams and Mr Edward Venter [P8.PMG]Name: Mr Edward VenterDegree: MCom (Financial Risk Management)Topic of thesis: Probability of Default Calibration for Low Default Portfolios: Revisiting the Bayesian ApproachSupervisor: Prof WJ ConradieAbstract: The Probability of Default is one of the fundamental parameters used in the quantication of credit risk. When estimating the Probability of Default for portfolios with a low default nature the Probability of Default will always be underestimated. Therefore, a need exists for calibrating the Probability of Default for Low Default Portfolios. Various approaches have been considered in the literature review, with the main approaches being the Condence Based Approach and Bayesian Approach. In this study the Bayesian Approach for calibrating the Probability of Default for portfolios of high grade credit is re-considered. Two alternative prior distributions that can be used in the Bayesian Approach are proposed; these are an informative, Strict Pareto distribution and an uninformative Jeffreys' prior. The performance of these proposals are then compared to existing calibration techniques by using real data. It is found that that these two alternative prior distributions can be successfully used as alternatives to the distributions already used in practice. An additional output of the study is a user interface designed to apply the theories discussed in the thesis. It aims to highlight the benets of, and/or to make a case of good practice for the use of graphical user interfaces when designing complex nancial models.
Name: Ms Robyn WilliamsDegree: MCom (Financial Risk Management)Topic of thesis: Value at Risk and Extreme Value Theory: Applications on the JSESupervisor: Dr JD Van HeerdenAbstract: Extreme Value Theory (EVT) has provided good results in developed markets when calculating Value at Risk (VaR) and we investigate if the same holds true in the more volatile South African equity space. The application of seven different VaR models on the FTSE/JSE Total Return All Share Index are examined. Three Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models with different innovations are compared to Historical Simulation (HS) and the unconditional Generalized Pareto Distribution (GPD) EVT model. In addition HS and the unconditional GPD models are ltered with an AR(1)-GARCH(1,1) model with normal innovations to take the conditional heteroskedasticity of the time series into account. This accounts for the Filtered Historical Simulation model and the conditional GPD model. Using backtesting of the historical daily return series against the 1-day-ahead VaR forecasts the violation ratio, unconditional coverage test and independence test are analysed to determine the performance of the models as well as to compare them. It is found that the Filtered Historical Simulation VaR method is the best all-round model. It is, however, worthwhile to employ EVT in the form of the conditional GPD model when calculating very extreme quantiles such as the 0.1% quantile. Our results further highlight the importance of ltering the data in order to account for the conditional heteroskedasticity of the nancial time series.
Name: Ms Julie Rayner [P9.JPG]Degree: MSc (Mathematical Statistics) Cum LaudeTopic of thesis: Rayner did her Master's thesis on dimension reduction in multi-label classication, focusing on “wide data”, where there are more variables than data cases.Supervisor: Prof N LouwAbstract: Many of the traditional classication and dimension reduction methods cannot be used in such instances. Methods proposed in the literature for dimension reduction in multi-class classication were generalised to the multi-label scenario. Some existing multi-label procedures were also modied by using relevance weights and a new method for multi-label dimension reduction was proposed. While enrolled for her MSc, Julie studied for a semester at the University of North Carolina in Greensboro, USA, completing several courses in addition to the courses required for her degree at Stellenbosch.Current employment: Rayner studied at the department from 2013 to 2015, completing both her BSc Honours and MSc in Mathematical Statistics cum laude. After completing her studies, she was selected for the Barclays Rising Eagle Graduate Programme. She is currently working as Risk Analyst (Credit) at the Internal Valuations Unit of Barclays Africa.
Graduation 2016/17: PhD And Masters Students
Name of student: Retha Luus
Degree: PhD (Statistics)
Supervisor: Prof T de Wet
Title of thesis: Statistical inference of the multiple
regression analysis of complex survey data
Abstract:
Complex survey sampling methodology formed the
main research area with sub-areas under this
including cross-validation, bootstrap, multilevel
modelling and sampling weight trimming. The
dissertation's main objectives were investigating the
effect of ignoring the complex survey design when
modelling such data; the importance of correctly
calculating final sampling weights; the effect of
trimming the weights on inference precision; and
using resampling methods such as the bootstrap and
jackknife for variance estimation of the estimators of
model coefficients. The contributions from this
dissertation included the development of a model to
simulate such data for the evaluation of new
methodologies under controlled conditions; the
extension of model evaluation methods for
application to survey-weighted linear models; non-
parametric linear modelling as an alternative to
parametric modelling as well as using the Hill
estimator as extreme sampling weight cut-off
Name of student: Benjamin Gurr
Degree: MCom (Statistics)
Supervisor: Prof NJ le Roux
Title of thesis: An application of geometric data analysis
techniques to South African crime data
Abstract:
South Africa is recognised as having the eighth highest
homicide rate in the world; along with a generally high
level of violent crime, the analysis is conducted on
reported violent crime statistics in South Africa. This
study explores the application of several types of
geometric data analysis methods to the study of crime in
South Africa. These include: correspondence analysis,
the correspondence analysis biplot, and the log-ratio
biplot. The emphasis is on visualising the violent crime
2016 Final-year prize winnersAt the end of each year, the Department awards
prizes to the best final-year undergraduate students in
each of the four disciplines offered by the
department. At a cocktail function for all the final-
year students, Prof Ronel du Preez, Vice-Dean:
Teaching of the Faculty of Economic and
Management Sciences, handed over cash prizes to
the following students:
Actuarial�Science:�Gerben�Draaijer
Gerben matriculated from Paul Roos Gymnasium. He is
currently enrolled for an Honours degree in Actuarial
Science.
Why did you decide to study Actuarial Science? I had
an interest in maths and economics so it seemed the
logical choice. I also heard rumours that it's a much
nicer job than being an accountant.
Do you think Actuarial Science is a useful subject that
can bring change to our society at large? I think the
actuarial profession is already providing a useful service
to society, but yes, I do believe there is probably room
for more innovation with regards to social matters.
What are your future career plans? I hope to work
somewhere in Cape Town (it's nice and close to the sea
and the mountains) and at the moment consulting seems
like one of the most attractive options.
Statistics:�Connor�McCann
Connor matriculated from Brackenfell High School. He is
currently enrolled for an Honours degree in Financial
Analysis in the Department of Business Management.
Why did you decide to study Statistics? Statistics offers
the ability to examine the real world and determine
whether something is random or has an actual
relationship. I most liked the application of theoretical
models to the real world, using statistical programs.
Do you think Statistics is a useful subject that can bring
change to our society at large? Statistics can be applied
to practically any situation or field and can thus be used
to positively influence society at large through analysing
situations to determine helpful relationships that can be
utilised to optimise and better society.
What are your future career plans? My plan is to go into
the investment world, specifically to become an asset /
portfolio manager and analyst.
What are some of your hobbies / other interests?Anything related to being outdoors like running and
mountain biking. More generally any sport that can be
played with friends like cricket, tennis or touchies. I also
enjoy playing guitar in my free time.
What are some of your hobbies / other interests? I enjoy
watching sport, specifically soccer and tennis, playing
table tennis, and watching TV series and movies. I also
try to keep up to date with world events and politics.
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Mathematical�Statistics:�Ian�Louw
Ian matriculated from Paul Roos Gymnasium. He is
currently enrolled for an Honours degree in
Mathematical Statistics.
Why did you decide to study Mathematical Statistics? I
tend to enjoy anything mathematical and challenging,
but I also like to apply my knowledge to real world
problems. In Mathematical Statistics I found a degree
that combines all three of these areas. What I like most is
how applicable the subject is in everything we do.
What do you like most about the Department and your
postgraduate degree? The Department: The staff are
exceptional and they stand out from the crowd. I don't
think they are appreciated enough. The postgraduate
degree: The practical approach to learning.
Do you think Mathematical Statistics is a useful subject
that can bring change to our society at large? Surely.
The vast (and ever increasing) amount of data being
generated and collected requires experts in this field to
make sense of it. Studying Mathematical Statistics will
give you the statistical tools to perform such analyses but
also give you the necessary knowledge to develop new
Financial�Risk�Management:�Melissa�Kemp
Melissa matriculated from Stellenberg High School. She
is currently enrolled for an Honours degree in Financial
Risk Management.
Why did you decide to study in this Department? My
undergraduate years were not enough. I wanted to gain
more knowledge in this field. I've always been attracted
to the corporate world – the people, the problems, the
management of wealth – and I think pursuing my
Honours and possibly Masters will help me rise above
my competition and become a force to be reckoned with.
What do you like most about the Department and your
postgraduate degree? Apart from the personal level of
teaching we receive, our programme provides us with a
broad exposure to what to expect in the real world. They
go above and beyond to help us build the stepping
stones of our future. The greatness of the Department is
due to the world-class lecturers.
Do you think Financial Risk Management is a useful
subject that can bring change to our society at large?
models, frameworks and theories to overcome modern
types of problems.
What are your future career plans? I have a passion for
the risk management space and I would like to use this
passion in the investment world.
What are some of your hobbies / other interests? I'm an
avid golfer and very interested in any kind of sport.
Coffee and latte art is another hobby of mine and I
would like to obtain my Barista qualification.
Yes. This subject helps you develop various skills to
better understand problems and find innovative
solutions. I believe that knowledge about risk and the
management thereof can assist with a vast number of the
economic issues that we are currently faced with.
What are some of your hobbies / other interests? When
I am not studying you can find me at a music festival, the
beach or kicking it back at a braai.
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Student�Prize�Winners:�2016
Students�Benefit� from�Essay�Competition
Prize winners and roleplayers: Back (left to right) Johann Pfitzinger, Peru Govindasamy, Peter-John Clift, Prof Stan du Plessis (former Dean of the Faculty), Coetzee Janse van Rensburg, Mr Doug Abbott (Schroders), Jannes Germishuys, Prof Willie Conradie (SU), Prof Neil Krige (Chairperson of SU's Development Office) and Carel van der Merwe (SU). Front (left to
right) are Rina de Villiers, Gcinile Dlamini, Nadia Burger, Rebecca Selkirk and Anri Kotzé. Photo credit: Hennie Rudman
fully anticipate that it will become even more
difficult in future years, as students become better
acquainted with the essay competition,” he said.
Carel van der Merwe of the Department of Statistics
and Actuarial Science, who managed and organised
the competition with Schroders, believes the essay
competition is a great opportunity for students to
research subjects relevant to industry and to connect
and network with senior staff members at respected
and well-known companies.
The winners were Coetzee Janse van Rensburg,
Peter-John Clift, Peru Govindasamy, Rina de Villiers,
Jannes Germishuys, Anri Kotzé, Gcinile Dlamini,
Nadia Burger, Rebecca Selkirk and Johann
Pfitzinger.
Pfitzinger, who achieved the highest mark, enjoyed
working on the topic he chose (“The effects of
unconventional monetary policies”).
“It is particularly rewarding when the work receives
such generous recognition,” he added.
As part of a larger collaboration between
Stellenbosch University and Schroders, 10 students
in the Faculty of Economic and Management
Sciences walked away with R20 000 each after
participating in an essay competition.
This essay competition forms part of a joint
investment research initiative that stems from an
agreement signed between the Department of
Statistics and Actuarial Science and Schroders.
The competition was open to postgraduate students
in the Departments of Statistics and Actuarial
Science, Business Management and Economics on
topics proposed by Schroders and its strategic
partner Lombard Insurance. Each topic was assigned
to a mentor by Schroders, who were available via
Skype to give advice and practical insight.
Ashley Lester, Global Head of Multi Asset and
Portfolio Solutions Research (MAPS) at Schroders,
reviewed all the essays. “I am particularly happy to
note the high quality of many of the entries.
Selecting the 10 winners was not an easy task, and I
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®SAS �Honours�Competition�2016
Each year the South African Statistical Association (SASA) awards
monetary prizes to students who participate in the annual SAS sponsored
honours project competition. The winner of the competition is also
invited to attend the annual SASA conference to present the winning
project. For a second year in a row, this prestigious prize was awarded to
an Honours student from our Department. In 2015 the prize went to
Margaret de Villiers and Dalene Bezuidenhoud. The 2016 prize was
awarded to Luca Steyn (currently registered for a Masters in Mathematical
Statistics). The title of the honours project is: “Statistical Modelling with
Quantile-based Methods and L-moments.” He received the prize from
Mr Murray de Villiers, manager of the global academic programme at the
SAS Institute during the 2016 annual SASA conference.
In 2014, the national Department of Science and
Technology (DST) classified Statistics as a
“vulnerable discipline” in South Africa due to the
scarcity of well-qualified professionals and
academics in this field.
Administered by the NRF and the South African
Statistical Association, the fund is used to provide
full-time bursaries to Masters and PhD students, as
well as grants to postdoctoral students and
postgraduate supervisors. The only criterion to
obtain a bursary is academic merit.
Stellenbosch University's first Masters cohort
(2015/2016) all graduated last year. They are:
Margaret de Villiers, Chané Orsmond and Sven
Buitendag.
The second Masters cohort (2016/2017) are busy
with the research component of their degree. They
are Luca Steyn, Tessa Rodseth, Jandré Marais and
Frances Coetzer.
The following students received bursaries for 2017:
Masters: Annegret Muller and Dylon Botha.
PhD: Sven Buitendag.
Bursaries�and�Grants:�2016
�SASA-NRF�Academic�Statistics�Grants
Back (from left to right) are Dylon Botha, Luca
Steyn, Tessa Rodseth and Jandré Marais, and
front (from left to right) are Annegret Muller and
Frances Coetzer.
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The road to qualifying as an actuary is a long one.
Not only must students pass a number of demanding
examinations set by the Actuarial Society of South
Africa, but also accumulate relevant practical work
experience before being admitted as Fellows of the